Bayesian invariant measurements of generalisation

Huaiyu Zhu, Richard Rohwer

    Research output: Contribution to journalArticle

    Abstract

    The problem of evaluating different learning rules and other statistical estimators is analysed. A new general theory of statistical inference is developed by combining Bayesian decision theory with information geometry. It is coherent and invariant. For each sample a unique ideal estimate exists and is given by an average over the posterior. An optimal estimate within a model is given by a projection of the ideal estimate. The ideal estimate is a sufficient statistic of the posterior, so practical learning rules are functions of the ideal estimator. If the sole purpose of learning is to extract information from the data, the learning rule must also approximate the ideal estimator. This framework is applicable to both Bayesian and non-Bayesian methods, with arbitrary statistical models, and to supervised, unsupervised and reinforcement learning schemes.
    Original languageEnglish
    Pages (from-to)28-31
    Number of pages4
    JournalNeural Processing Letters
    Volume2
    Issue number6
    Publication statusPublished - Dec 1995

    Bibliographical note

    Copyright of Springer Verlag. The original publication is available at www.springerlink.com

    Keywords

    • learning rules
    • statistical estimators
    • statistical inference
    • decision theory
    • information geometry
    • Bayesian
    • non-Bayesian

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